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portfolio 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

portfolio 2

Currency in USD · Last updated May 29, 2025

Asset Allocation

SGOV 20%DBA 7.5%SCHG 20%FLIN 15%SHLD 15%DBEF 10%PHO 7.5%XLP 5%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
DBA
Invesco DB Agriculture Fund		Agricultural Commodities
7.50%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		Hedge Fund
10%
FLIN
Franklin FTSE India ETF		Asia Pacific Equities
15%
PHO
Invesco Water Resources ETF		Water Equities
7.50%
SCHG
Schwab U.S. Large-Cap Growth ETF		Large Cap Growth Equities
20%
SGOV
iShares 0-3 Month Treasury Bond ETF		Government Bonds
20%
SHLD
Global X Defense Tech ETF		Technology Equities
15%
XLP
Consumer Staples Select Sector SPDR Fund		Consumer Staples Equities
5%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Sep 13, 2023, corresponding to the inception date of SHLD

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.12%6.51%-1.84%10.98%14.10%10.82%
portfolio 29.19%4.87%7.87%16.53%N/AN/A
Portfolio components:
SCHG
Schwab U.S. Large-Cap Growth ETF		-1.19%8.99%0.03%14.53%18.19%15.86%
FLIN
Franklin FTSE India ETF		2.64%2.13%-0.34%2.65%17.88%N/A
DBA
Invesco DB Agriculture Fund		0.49%-2.09%3.43%10.32%16.43%3.23%
PHO
Invesco Water Resources ETF		3.26%5.52%-4.91%3.23%13.58%10.72%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		8.67%5.56%9.56%8.89%14.19%8.18%
XLP
Consumer Staples Select Sector SPDR Fund		4.58%1.50%0.04%9.68%9.51%8.13%
SHLD
Global X Defense Tech ETF		51.67%11.54%45.16%68.99%N/AN/A
SGOV
iShares 0-3 Month Treasury Bond ETF		1.72%0.36%2.16%4.81%2.74%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of portfolio 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.96%-0.61%0.58%2.84%4.16%9.19%
20241.53%4.72%3.40%-1.10%3.03%1.27%2.11%2.16%1.19%-1.65%3.43%-1.56%19.91%
2023-2.07%-0.23%5.88%3.25%6.81%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

portfolio 2 has an expense ratio of 0.28%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

DBA
Invesco DB Agriculture Fund
PHO
Invesco Water Resources ETF
SHLD
Global X Defense Tech ETF
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF
FLIN
Franklin FTSE India ETF
XLP
Consumer Staples Select Sector SPDR Fund
SCHG
Schwab U.S. Large-Cap Growth ETF
SGOV
iShares 0-3 Month Treasury Bond ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 90, portfolio 2 is among the top 10% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of portfolio 2 is 9090
Overall Rank
The Sharpe Ratio Rank of portfolio 2 is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of portfolio 2 is 8787
Sortino Ratio Rank
The Omega Ratio Rank of portfolio 2 is 8989
Omega Ratio Rank
The Calmar Ratio Rank of portfolio 2 is 9191
Calmar Ratio Rank
The Martin Ratio Rank of portfolio 2 is 9494
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHG
Schwab U.S. Large-Cap Growth ETF		0.581.051.150.702.29
FLIN
Franklin FTSE India ETF		0.160.301.040.120.25
DBA
Invesco DB Agriculture Fund		0.681.291.151.052.71
PHO
Invesco Water Resources ETF		0.170.261.030.080.25
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		0.520.871.120.652.83
XLP
Consumer Staples Select Sector SPDR Fund		0.731.041.131.092.89
SHLD
Global X Defense Tech ETF		3.154.041.606.2918.38
SGOV
iShares 0-3 Month Treasury Bond ETF		21.61473.39474.39484.667,693.80

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

portfolio 2 Sharpe ratios as of May 29, 2025 (values are recalculated daily):

  • 1-Year: 1.40
  • All Time: 2.14

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.52 to 1.05, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of portfolio 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

portfolio 2 provided a 1.89% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.89%2.02%2.18%2.29%0.79%0.61%0.88%0.98%0.66%0.63%0.80%0.89%
Portfolio components:
SCHG
Schwab U.S. Large-Cap Growth ETF		0.41%0.40%0.46%0.55%0.42%0.52%0.82%1.27%1.01%1.04%1.22%1.09%
FLIN
Franklin FTSE India ETF		1.54%1.58%0.73%0.73%2.26%0.68%0.90%0.92%0.00%0.00%0.00%0.00%
DBA
Invesco DB Agriculture Fund		4.06%4.08%4.63%0.48%0.00%0.00%1.55%1.06%0.00%0.00%0.00%0.00%
PHO
Invesco Water Resources ETF		0.49%0.45%0.59%0.49%0.20%0.39%0.43%0.46%0.34%0.47%0.75%0.59%
DBEF
Xtrackers MSCI EAFE Hedged Equity ETF		1.18%1.29%4.45%15.85%2.28%2.41%3.03%3.22%2.98%2.56%3.70%5.09%
XLP
Consumer Staples Select Sector SPDR Fund		2.50%2.77%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.53%2.40%
SHLD
Global X Defense Tech ETF		0.35%0.53%0.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SGOV
iShares 0-3 Month Treasury Bond ETF		4.70%5.10%4.87%1.45%0.03%0.05%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the portfolio 2. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the portfolio 2 was 7.85%, occurring on Apr 8, 2025. Recovery took 12 trading sessions.

The current portfolio 2 drawdown is 0.46%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-7.85%Mar 26, 202510Apr 8, 202512Apr 25, 202522
-4.52%Jul 17, 202414Aug 5, 202410Aug 19, 202424
-4.01%Sep 15, 202331Oct 27, 202310Nov 10, 202341
-3.3%Dec 9, 202422Jan 10, 202523Feb 13, 202545
-3.1%Feb 19, 202517Mar 13, 20258Mar 25, 202525
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 8 assets, with an effective number of assets of 6.72, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCSGOVDBAXLPFLINSHLDSCHGDBEFPHOPortfolio
^GSPC1.000.070.120.360.420.520.930.720.720.89
SGOV0.071.000.000.080.030.020.060.040.090.08
DBA0.120.001.000.010.07-0.020.120.090.060.22
XLP0.360.080.011.000.170.270.150.320.440.36
FLIN0.420.030.070.171.000.270.370.390.390.59
SHLD0.520.02-0.020.270.271.000.420.540.530.70
SCHG0.930.060.120.150.370.421.000.620.540.81
DBEF0.720.040.090.320.390.540.621.000.660.78
PHO0.720.090.060.440.390.530.540.661.000.75
Portfolio0.890.080.220.360.590.700.810.780.751.00
The correlation results are calculated based on daily price changes starting from Sep 14, 2023
Go to the full Correlations tool for more customization options